InDesign, by default, ignores CMYK profiles you have embedded in your images.
The rule “Profile Setting May Cause CMYK Conversion” gets triggered if your document's CMYK Color Management Policy was not set to “Preserve Numbers (Ignore Linked Profiles)” when the document was created.
These policies get saved with the document when it is created, so to make a change, try closing the document, in the Edit menu, open Color Settings, check the Ask When boxes, set the CMYK policy to Preserve Numbers, and then reopen the file.
You should get a dialogue box that will let you change the document's policy:
Before you create new documents with your preflight profile make sure colour settings is set to Preserve Numbers (Ignore Linked Profiles):